Credit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges
Författare
Summary, in English
This study discusses how to compute and forecast long-term stock return volatilities, typically with a five-year horizon or longer, using credit derivatives, and how such volatilities can be used in different areas ranging from the valuation of employee stock options and other long-term derivatives to the construction of market-based fear gauges in selected countries or market segments. In the empirical part of the paper I focus on the European financial sector and find the credit-implied volatilities and fear gauges to behave well. The forecasting accuracy of the credit-implied volatilities is found to be better than that of horizon-matched historical volatilities. (c) 2014 The Authors. Journal of Futures Markets Published by Wiley Periodicals, Inc. Jrl Fut Mark 35:753-775, 2015
Avdelning/ar
Publiceringsår
2015
Språk
Engelska
Sidor
753-775
Publikation/Tidskrift/Serie
Journal of Futures Markets
Volym
35
Issue
8
Länkar
Dokumenttyp
Artikel i tidskrift
Förlag
John Wiley & Sons Inc.
Ämne
- Economics
Nyckelord
- credit default swaps
- implied volatility
- CreditGrades
- VIX
- fear gauge
- long-term forecast
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1096-9934